Prince Nikolai was christened in chapel of Fredensborg Palace on 6 November 1999 by the royal vicar Christian Thodberg. At the christening the musical work Lys på din vej composed by Frederik Magle, dedicated to Prince Nikolai, was given its first performance.

His godparents are his paternal uncle, The Crown Prince of Denmark; The Earl of Wessex, Peter Steentrup, his maternal aunt, Nicola Baird; and Camilla Flint.

Nikolai: is after his maternal aunt and one of his godmothers, Nicola Baird.

William: is after his maternal great-grandfather, William Manley.

Alexander: is after his mother, Alexandra, Countess of Frederiksborg.

Frederik: is a common name for Danish Kings, and is also the name of his uncle and one of his godfathers, Crown Prince Frederik.